Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
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Publication:5201480
DOI10.1080/03610920500439729zbMATH Open1089.60015arXivmath/0408321OpenAlexW2158431768MaRDI QIDQ5201480FDOQ5201480
Akimichi Takemura, Muneya Matsui
Publication date: 19 April 2006
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Abstract: We propose improvements in numerical evaluation of symmetric stable density and its partial derivatives with respect to the parameters. They are useful for more reliable evaluation of maximum likelihood estimator and its standard error. Numerical values of the Fisher information matrix of symmetric stable distributions are also given. Our improvements consist of modification of the method of Nolan (1997) for the boundary cases, i.e., in the tail and mode of the densities and in the neighborhood of the Cauchy and the normal distributions.
Full work available at URL: https://arxiv.org/abs/math/0408321
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Cited In (20)
- Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
- On the instability of symmetric formulas for numerical differentiation and integration
- Goodness-of-fit tests for symmetric stable distributions-empirical characteristic function approach
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Efficient estimation of stable Lévy process with symmetric jumps
- Estimating stable latent factor models by indirect inference
- Point regularity of \(p\)-stable density in \({\mathcal R}^d\) and Fisher information
- Modeling and simulation studies for some truncated discrete distributions generated by stable densities
- Remarks on the stable \(S_{\alpha}(\beta, \gamma, \mu)\) distribution
- Title not available (Why is that?)
- Joint estimation for SDE driven by locally stable Lévy processes
- Integral representations of one-dimensional projections for multivariate stable densities
- Bayesian inversion with α-stable priors
- Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics
- Fractional absolute moments of heavy tailed distributions
- On the confidence intervals of parametric functions for Distributions Generated by Symmetric Stable Laws
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